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^SIXY vs. CMG
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXY and CMG is 0.52, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

^SIXY vs. CMG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consumer Discretionary Select Sector Index (^SIXY) and Chipotle Mexican Grill, Inc. (CMG). The values are adjusted to include any dividend payments, if applicable.

1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%JulyAugustSeptemberOctoberNovemberDecember
927.02%
4,723.04%
^SIXY
CMG

Key characteristics

Sharpe Ratio

^SIXY:

1.57

CMG:

1.14

Sortino Ratio

^SIXY:

2.14

CMG:

1.61

Omega Ratio

^SIXY:

1.28

CMG:

1.23

Calmar Ratio

^SIXY:

1.47

CMG:

1.23

Martin Ratio

^SIXY:

7.75

CMG:

2.85

Ulcer Index

^SIXY:

3.73%

CMG:

11.81%

Daily Std Dev

^SIXY:

18.28%

CMG:

29.60%

Max Drawdown

^SIXY:

-40.25%

CMG:

-74.61%

Current Drawdown

^SIXY:

-4.45%

CMG:

-9.75%

Returns By Period

In the year-to-date period, ^SIXY achieves a 27.77% return, which is significantly lower than CMG's 35.27% return. Over the past 10 years, ^SIXY has underperformed CMG with an annualized return of 12.29%, while CMG has yielded a comparatively higher 16.58% annualized return.


^SIXY

YTD

27.77%

1M

6.50%

6M

25.35%

1Y

26.38%

5Y*

12.86%

10Y*

12.29%

CMG

YTD

35.27%

1M

5.08%

6M

-3.64%

1Y

34.09%

5Y*

30.01%

10Y*

16.58%

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Risk-Adjusted Performance

^SIXY vs. CMG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Discretionary Select Sector Index (^SIXY) and Chipotle Mexican Grill, Inc. (CMG). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for ^SIXY, currently valued at 1.57, compared to the broader market0.001.002.001.571.28
The chart of Sortino ratio for ^SIXY, currently valued at 2.14, compared to the broader market-1.000.001.002.003.002.141.76
The chart of Omega ratio for ^SIXY, currently valued at 1.28, compared to the broader market0.901.001.101.201.301.401.281.26
The chart of Calmar ratio for ^SIXY, currently valued at 1.47, compared to the broader market0.001.002.003.001.471.38
The chart of Martin ratio for ^SIXY, currently valued at 7.75, compared to the broader market0.005.0010.0015.0020.007.753.09
^SIXY
CMG

The current ^SIXY Sharpe Ratio is 1.57, which is higher than the CMG Sharpe Ratio of 1.14. The chart below compares the historical Sharpe Ratios of ^SIXY and CMG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.57
1.28
^SIXY
CMG

Drawdowns

^SIXY vs. CMG - Drawdown Comparison

The maximum ^SIXY drawdown since its inception was -40.25%, smaller than the maximum CMG drawdown of -74.61%. Use the drawdown chart below to compare losses from any high point for ^SIXY and CMG. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.45%
-9.75%
^SIXY
CMG

Volatility

^SIXY vs. CMG - Volatility Comparison

The current volatility for Consumer Discretionary Select Sector Index (^SIXY) is 6.24%, while Chipotle Mexican Grill, Inc. (CMG) has a volatility of 9.11%. This indicates that ^SIXY experiences smaller price fluctuations and is considered to be less risky than CMG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
6.24%
9.11%
^SIXY
CMG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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